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  2. Multivariate normal distribution - Wikipedia

    en.wikipedia.org/wiki/Multivariate_normal...

    If the covariance matrix is not full rank, then the multivariate normal distribution is degenerate and does not have a density. More precisely, it does not have a density with respect to k -dimensional Lebesgue measure (which is the usual measure assumed in calculus-level probability courses).

  3. Covariance matrix - Wikipedia

    en.wikipedia.org/wiki/Covariance_matrix

    Throughout this article, boldfaced unsubscripted and are used to refer to random vectors, and Roman subscripted and are used to refer to scalar random variables.. If the entries in the column vector = (,, …,) are random variables, each with finite variance and expected value, then the covariance matrix is the matrix whose (,) entry is the covariance [1]: 177 ...

  4. List of probability distributions - Wikipedia

    en.wikipedia.org/wiki/List_of_probability...

    The uniform distribution or rectangular distribution on [a,b], where all points in a finite interval are equally likely, is a special case of the four-parameter Beta distribution. The Irwin–Hall distribution is the distribution of the sum of n independent random variables, each of which having the uniform distribution on [0,1].

  5. Multivariate Behrens–Fisher problem - Wikipedia

    en.wikipedia.org/wiki/Multivariate_Behrens...

    The main problem is that when the true values of the dispersion matrix are unknown, then under the null hypothesis the probability of rejecting via a test depends on the unknown dispersion matrices. [1] In practice, this dependency harms inference when the dispersion matrices are far from each other or when the sample size is not large enough ...

  6. Fisher information - Wikipedia

    en.wikipedia.org/wiki/Fisher_information

    For several parameters, the covariance matrices and information matrices are elements of the convex cone of nonnegative-definite symmetric matrices in a partially ordered vector space, under the Loewner (Löwner) order. This cone is closed under matrix addition and inversion, as well as under the multiplication of positive real numbers and ...

  7. List of named matrices - Wikipedia

    en.wikipedia.org/wiki/List_of_named_matrices

    Several important classes of matrices are subsets of each other. This article lists some important classes of matrices used in mathematics, science and engineering. A matrix (plural matrices, or less commonly matrixes) is a rectangular array of numbers called entries. Matrices have a long history of both study and application, leading to ...